KLDivergences
Compute KL Divergences using Distributions.jl objects either analytically (PR are welcome to enrich the library) or via Monte Carlo sampling.
There is only one function exported : KL which takes two arguments p and q for an analytical formulation and an additional argument n_samples for the sampling based approach.
The list of the pair of distributions supported analytically is given here
Univariate distributions
| p | q |
|---|---|
| Normal | Normal |
| Poisson | Poisson |
| Exponential | Exponential |
| Gamma | Gamma |
| InverseGamma | InverseGamma |
| Beta | Beta |
Multivariate distributions
| p | q |
|---|---|
| MvNormal | MvNormal |